The use of the Hurst exponent to investigate the global maximum of the Warsaw Stock Exchange WIG20 index

TitleThe use of the Hurst exponent to investigate the global maximum of the Warsaw Stock Exchange WIG20 index
Publication TypeJournal Article
Year of Publication2012
AuthorsDomino K
JournalPhysica A
Volume391
Pagination156–169
ISSNISSN: 0378-4371
KeywordsDetrended fluctuation analysis, Econophysics, Frequency distribution, Hurst exponent, Statistical research, Time series, Warsaw Stock Exchange
Abstract

The WIG20 index – the index of the 20 biggest companies traded on the Warsaw Stock Exchange – reached the global maximum on 29th October 2007. I have used the local DFA (Detrended Functional Analysis) to obtain the Hurst exponent (diffusion exponent) and investigate the signature of anti-correlation of share price evolution around the maximum. The analysis was applied to the share price evolution for variable DFA parameters. For many values of parameters, the evidence of anti-correlation near the WIG20 maximum was pointed out.

DOI10.1016/j.physa.2011.06.062